In the fourth quarter of 2016, Arc Home anticipates launching a retention strategy with respect to its MSR portfolios

MANAGEMENT REMARKS

"During the quarter, spreads for mortgage credit assets reached their tightest levels in at least a year, as mortgage credit spreads benefited from both a rally in the broader credit markets and continued strong demand," commented Jonathan Lieberman, President and Chief Investment Officer. "We are pleased with MITT's performance during the third quarter as the investment team continues to execute on key objectives for MITT, including producing core earnings above our dividend, generating a positive annualized economic return on equity, and further diversifying our portfolio of credit investments."

"Our mortgage origination affiliate Arc Home is originating mortgages in 44 states through retail and correspondent channels. We are very pleased with the mortgage loan originations activity that has occurred thus far," said Chief Executive Officer David Roberts. "The investment team is working diligently to build out its MSR investment platform, and during the quarter Arc Home purchased MSRs on $2.4 billion of notional principal balance. Beginning in 2017, we anticipate that MITT will invest in mortgage related products originated and sourced by Arc Home."

KEY STATISTICS

($ in thousands)

September 30, 2016

Investment portfolio (2) (4)

$2,748,922

Repurchase agreements (2)*

2,136,547

Total Financing (14)

2,162,464

Stockholders' equity

673,373

"At Risk" Leverage (7)

3.2x

Yield on investment portfolio (9)

4.73%

Cost of funds (10)

1.76%

Net interest margin (3)

2.97%

Management fees (11)

1.46%

Other operating expenses (12)

1.71%

Book value, per share (1)

$18.49

Undistributed taxable income, per share (13)

$1.99

Dividend, per share

$0.475

*Excludes $101.3 million of repurchase agreements associated with U.S. Treasury positions.

INVESTMENT PORTFOLIO

The following summarizes the Company's investment portfolio as of September 30, 2016 (2):

($ in millions)

Current Face

Premium(Discount)

AmortizedCost

Fair Value

WAYield

Agency RMBS:

30-Year Fixed Rate

$

807.1

$

33.9

$

841.0

$

863.6

2.9

%

Fixed Rate CMO

67.5

0.5

68.0

70.0

2.8

%

Hybrid ARM

217.2

(2.3

)

214.9

224.4

2.8

%

Inverse Interest Only and Interest Only

444.0

(400.8

)

43.2

41.2

6.1

%

Credit Investments:

Residential Investments

1,840.1

(674.6

)

1,165.5

1,186.8

5.8

%

Commercial Investments

2,778.2

(2,487.4

)

290.8

292.4

7.5

%

ABS

71.2

(0.4

)

70.8

70.5

5.5

%

Total

$

6,225.3

$

(3,531.1

)

$

2,694.3

$

2,748.9

4.7

%

As of September 30, 2016, the weighted average yield on the Company's investment portfolio was 4.73% and its weighted average cost of funds was 1.76%. This resulted in a net interest margin of 2.97% as of September 30, 2016. (3)

We recognized net realized gains of $9.6 million during the quarter ended September 30, 2016. We sold certain real estate securities and loans, realizing a net gain of $9.9 million and $3.4 million, respectively. In addition, we recognized a $0.3 million gain on loans transferred to Other assets and a $0.3 million gain on the sale of Other assets. We also recognized $0.4 million of realized gains due to the settlement of TBAs, $3.7 million of realized loss due to the settlement of certain derivatives and other instruments, and $1.0 million of realized loss due to OTTI charges on certain securities.

Premiums and discounts associated with purchases of the Company's securities are amortized or accreted into interest income over the estimated life of such securities, using the effective yield method. The Company recorded a de minimis retrospective adjustment due to the change in projected cash flows on its Agency RMBS, excluding interest-only securities and TBAs. Since the cost basis of the Company's Agency RMBS securities, excluding interest-only securities and TBAs, exceeds the underlying principal balance by 2.9% as of September 30, 2016, slower actual and projected prepayments can have a meaningful positive impact, while faster actual or projected prepayments can have a meaningful negative impact on the Company's asset yields.

FINANCING AND HEDGING ACTIVITIES

The Company, either directly or through its equity method investments in affiliates, has entered into financing arrangements with 38 counterparties, under which it had debt outstanding with 22 counterparties as of September 30, 2016. The weighted average funding cost was 0.8% for Agency RMBS and 2.2% for Credit Investments. The investment portfolio is financed with repurchase agreements as of September 30, 2016 as summarized below:

($ in thousands)

Original Maturities:*

Amount Outstanding

WA Funding Cost

WA Days toMaturity**

% Outstanding

Overnight

$

47,908

1.0%

3

2.2%

30 Days or Less

1,535,999

1.4%

14

71.9%

31-60 Days

169,719

1.5%

40

7.9%

61-90 Days

84,788

2.4%

78

4.0%

Greater than 90 Days

298,133

2.1%

428

14.0%

Total / Weighted Average

$

2,136,547

1.5%

76

100.0%

*Numbers in table above do not include securitized debt of $24.4 million, loan participation payable of $1.8 million or repurchase agreements associated with U.S. Treasury positions of $101.3 million.

**Our weighted average original days to maturity is 194 days.

The Company's hedge portfolio as of September 30, 2016 is summarized as follows:

($ in thousands)

Notional

Interest Rate Swaps

$369,000

U.S. Treasuries, net

(55,000)

Treasury Futures, net

(17,500)

Total

$296,500

The Company's interest rate swaps as of September 30, 2016 are summarized as follows:

The primary differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of certain terminated derivatives and (v) taxes. As of September 30, 2016, the Company had undistributed taxable income of approximately $1.99 per share. (13)

DIVIDEND

On September 12, 2016, the Company's board of directors declared a third quarter dividend of $0.475 per share of common stock that was paid on October 31, 2016 to stockholders of record as of September 23, 2016.

On August 15, 2016, the Company's board of directors declared a quarterly dividend of $0.51563 per share of Series A preferred stock and a quarterly dividend of $0.50 per share of Series B preferred stock. The preferred distributions were paid on September 19, 2016 to stockholders of record as of August 31, 2016.

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts to participate in MITT's third quarter earnings conference call on November 4, 2016 at 9:30 am Eastern Time. The stockholder call can be accessed by dialing (888) 424-8151 (U.S. domestic) or (847) 585-4422 (international). Please enter code number 6107882.

A presentation will accompany the conference call and will be available on the Company's website at www.agmit.com. Select the Q3 2016 Earnings Presentation link to download and print the presentation in advance of the stockholder call.

An audio replay of the stockholder call combined with the presentation will be made available on our website after the call. The replay will be available until midnight on December 4, 2016. If you are interested in hearing the replay, please dial (888) 843-7419 (U.S. domestic) or (630) 652-3042 (international). The conference ID number is 6107882.

This press release includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995 related to dividends, our strategy related to our investments and portfolio, liquidity and financing, our assets, and regulatory approvals. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements due to a variety of factors, including, without limitation, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability and terms of financing, changes in the market value of our assets, general economic conditions, conditions in the market for Agency RMBS, Non-Agency RMBS, ABS and CMBS securities and loans, and legislative and regulatory changes that could adversely affect the business of the Company. Additional information concerning these and other risk factors are contained in the Company's filings with the Securities and Exchange Commission ("SEC"). Copies are available free of charge on the SEC's website, http://www.sec.gov/, including its most recent Annual Report on Form 10-K and subsequent filings. All information in this press release is as of November 3, 2016. The Company undertakes no duty to update any forward-looking statements to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based.

Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 27,698,250 and 28,286,210 shares issued and outstanding at September 30, 2016 and December 31, 2015, respectively

This press release contains Core Earnings, a non-GAAP financial measure. AG Mortgage Investment Trust, Inc.'s management believes that this non-GAAP measure, when considered with the Company's GAAP financials, provides supplemental information useful for investors in evaluating the results of the Company's operations. The Company's presentation of Core Earnings may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.

We define Core Earnings, a non-GAAP financial measure, as net income excluding both unrealized and realized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or disposition expense, if any, on such sale or termination including (i) investments held in affiliated entities and (ii) derivatives. As defined, Core Earnings include the net interest and other income earned on our investments on a yield adjusted basis, including credit derivatives, investments in debt and equity of affiliates, inverse Agency Interest-Only securities, interest rate derivatives, TBA drop income or any other investment activity that may earn or pay net interest or its economic equivalent.

A reconciliation of GAAP net income to Core Earnings for the three months ended September 30, 2016 and the three months ended September 30, 2015 is set forth below:

Three Months Ended

Three Months Ended

September 30, 2016

September 30, 2015

Net Income/(loss) available to common stockholders

$

42,764,611

$

(3,665,002)

Add (Deduct):

Net realized (gain)/loss

(9,578,488)

4,710,086

Drop income

129,883

-

Equity in (earnings)/loss from affiliates

(534,133)

(1,512,037)

Net interest income and expenses from equity method investments

1,653,043

1,202,923

Unrealized (gain)/loss on real estate securities and loans, net

(13,461,216)

(7,238,103)

Unrealized (gain)/loss on derivative and other instruments, net

(6,961,061)

19,523,287

Core Earnings

$

14,012,639

$

13,021,154

Core Earnings, per Diluted Share

$

0.50

$

0.46

Footnotes

(1) Per share figures are calculated using a denominator of all outstanding common shares including all shares granted to our Manager and our independent directors under our equity incentive plans as of quarter end. Net book value uses stockholders' equity less net proceeds of the Company's 8.25% Series A and 8.00% Series B Cumulative Redeemable Preferred Stock as the numerator.

(2) Generally when we purchase a security and employ leverage, the security is included in our assets and the leverage is reflected in our liabilities on the balance sheet as either Repurchase agreements, Securitized debt, or Loan participations payable. Throughout this press release where we disclose our investment portfolio and the related repurchase agreements that finance it, we have presented this information inclusive of (i) unconsolidated ownership interests in affiliates that are accounted for under GAAP using the equity method and (ii) TBAs, which are accounted for as derivatives under GAAP. This press release excludes investments through AG Arc LLC unless otherwise noted. This presentation of our investment portfolio is consistent with how our management evaluates the business, and we believe this presentation, when considered with the GAAP presentation, provides supplemental information useful for investors in evaluating our investment portfolio and financial condition. See footnote (16) on further details on AG Arc LLC.

(3) Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for the Company's investment portfolio, which excludes cash held by the Company. See notes footnotes (9) and (10) for further detail. Net interest margin also excludes any net TBA position.

(4) The total investment portfolio at period end is calculated by summing the fair market value of our Agency RMBS, any net TBA position, Residential Investments, Commercial Investments, and ABS, including securities and mortgage loans owned through investments in affiliates, exclusive of AG Arc LLC. Refer to footnote (2) for more information on the GAAP accounting for certain items included in our investment portfolio. The percentage of Agency RMBS and Credit Investments is calculated by dividing the respective fair market value of each, including any net TBA positions as Agency RMBS and securities and mortgage loans owned through investments in affiliates as Credit Investments, by the total investment portfolio, exclusive of AG Arc LLC.

(5) This represents the weighted average monthly CPRs published during the quarter, or month, as applicable, for our in-place portfolio during the same period. Any net TBA position is excluded from the CPR calculation.

(6) Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP.

(7) "At Risk" Leverage was calculated by dividing total financing including any net TBA position by our GAAP stockholders' equity at quarter end as of September 30, 2016. See footnote (14) for further details on our definition of total financing.

(8) The economic return on equity for the quarter represents the change in net book value per share from prior period, plus the dividend declared in the current period, divided by prior period's net book value per share. The annualized economic return on equity is the quarterly return on equity multiplied by four.

(9) The yield on our investment portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter end. This calculation excludes cash held by the Company and excludes any net TBA position.

(10) The cost of funds at quarter end was calculated as the sum of the weighted average funding costs on total financing outstanding at quarter end and the weighted average of the net pay rate on our interest rate swaps, the net receive/pay rate on our Treasury long and short positions, respectively, and the net receivable rate on our IO index derivatives, if any. Both elements of the cost of funds at quarter end were weighted by the outstanding repurchase agreements, securitized debt outstanding and loan participations payable outstanding at quarter end, excluding repurchase agreements associated with U.S. Treasury positions. The cost of funds excludes any net TBA position.

(11) The management fee percentage at quarter end was calculated by annualizing management fees recorded during the quarter and dividing by quarter end stockholders' equity.

(12) The other operating expenses percentage at quarter end was calculated by annualizing other operating expenses recorded during the quarter and dividing by quarter end stockholders' equity.

(13) This estimate of undistributed taxable income per common share represents the total estimated undistributed taxable income as of quarter end. Undistributed taxable income is based on current estimates and projections as certain amounts are not available until after year end. As a result, the actual amount is not finalized until we file our annual tax return, typically in September of the following year.

(14) Total financing at quarter end includes repurchase agreements inclusive of repurchase agreements through affiliated entities, exclusive of any financing utilized through AG Arc LLC, plus the payable on all unsettled buys less the financing on all unsettled sells, securitized debt, loan participations payable and any net TBA position (at cost). Total financing excludes repurchase agreements and unsettled trades on U.S. Treasuries. See footnote (16) for further details on AG Arc LLC.

(15) Equity residuals, MSRs and principal only securities with a zero coupon rate are excluded from this calculation.

(16) The Company invests in Arc Home LLC through AG Arc LLC, one of its indirect subsidiaries.

(17) The acquisition of Agency RMBS pools through taking delivery of TBA purchases results in an investor generally receiving pools with the most unfavorable prepayment characteristics available. As a result, many investors who hold their Agency MBS exposure in pools choose to select those pools individually based on specific, more favorable prepayment characteristics. Due to the more favorable prepayment profile of these securities versus what would be delivered into a TBA purchase, they trade at a price spread above TBA pricing. This price spread is referred to as a pool's "payup" over TBA, and is determined by a variety of both fundamental and technical factors.